XLI Options History — December 2016

In December 2016, XLI traded between $62.09 and $64.00. ATM implied volatility averaged 13.2%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.1% (HV 20d: 10.1%). Max pain ranged from $60.00 to $62.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.20.

Notable Days

  • 2016-12-07: Highest Volume — 56,549 contracts
  • 2016-12-08: Largest IV spike — 10.3% change
  • 2016-12-30: Highest IV Rank — 22.1%
  • 2016-12-02: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.07$62.09$64.00$62.77$62.09
Max Pain$61.38$60.00$62.00$60.00$62.00
ATM IV13.2%12.0%14.6%13.5%14.6%
Expected Move3.9%3.5%4.4%4.4%4.1%
HV 20d10.1%8.3%13.3%13.3%9.7%
HV 60d12.0%11.5%13.6%13.6%11.6%
IV Rank13.1%5.6%22.1%15.3%22.1%
IV Percentile24.2%6.3%50.4%28.6%50.4%
Term Structure0.3%-0.1%0.9%0.1%0.3%
VWIV14.3%12.1%17.6%17.6%16.2%
Skew 25d3.1%2.0%5.2%3.9%3.3%
Skew 10d6.0%3.1%10.2%7.3%3.1%
Call IV 25d12.2%9.5%13.7%12.4%13.3%
Put IV 25d15.3%13.9%16.6%16.4%16.6%
Bid-Ask Spread %9.054.2714.1110.864.85
Gamma HHI0.140.120.250.150.13
Net GEX22.3M-40.4M47.1M25.3M13.7M
Net DEX-395.8M-675.2M-55.9M-448.3M-55.9M
Net VEX-3.0M-3.3M-2.8M-3.0M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.368.291.698.29
Total Volume29,885.47617,69956,54944,60655,988
Total OI537,566.333481,409608,911513,919497,085

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$62.77$60.0013.5%4.4%13.3%15.3%17.6%3.9%0.1%25.3M-448.3M-3.0M1.6910.8616,56328,043181,766332,153
2016-12-02$62.78$60.0013.2%4.4%12.9%13.4%16.3%4.1%0.2%16.6M-430.3M-3.0M2.038.389,27118,803183,877344,906
2016-12-05$62.76$61.0012.7%3.9%13.0%9.9%14.5%3.6%0.4%15.8M-413.8M-2.8M2.0711.0313,15227,180183,301348,818
2016-12-06$62.87$61.0012.6%3.9%11.5%9.0%14.6%3.6%0.6%8.8M-401.1M-3.0M1.6511.826,68911,010186,632365,345
2016-12-07$64.00$61.0012.7%3.9%12.3%9.8%13.1%5.2%0.5%13.6M-610.9M-2.9M0.3611.0141,48515,064187,536366,055
2016-12-08$63.73$61.0014.0%4.1%10.5%18.2%14.9%3.1%0.2%24.9M-635.8M-3.0M1.629.6610,07016,334219,316371,022
2016-12-09$63.97$61.0013.2%3.9%8.3%13.0%15.7%3.3%0.5%23.4M-675.2M-3.3M1.609.319,02414,453223,522376,476
2016-12-12$63.73$61.0014.2%4.1%8.6%19.5%15.6%3.2%-0.1%24.9M-614.9M-3.3M2.186.658,72518,979221,534368,053
2016-12-13$63.67$61.0014.2%4.1%8.6%19.4%15.8%2.5%0.1%25.7M-610.5M-3.1M1.638.2010,31316,832223,695374,712
2016-12-14$63.21$61.0014.2%4.2%9.2%19.6%14.2%2.8%0.3%19.7M-512.1M-3.2M1.0214.1114,59214,867227,177377,721
2016-12-15$63.08$61.0013.3%3.9%8.9%13.5%13.7%2.0%0.1%18.2M-532.0M-3.0M0.574.2725,00814,165231,639377,272
2016-12-16$62.57$62.0012.9%3.7%9.6%11.5%13.4%3.0%0.1%-40.4M-192.0M-3.0M1.598.639,89915,739187,752379,470
2016-12-19$62.86$62.0012.4%3.6%9.6%7.7%13.5%2.8%0.4%34.7M-271.9M-2.9M2.2813.446,60015,061177,623303,786
2016-12-20$63.27$62.0012.0%3.5%9.8%5.6%12.1%2.6%0.6%39.7M-355.1M-3.0M1.826.418,24314,981179,312310,828
2016-12-21$63.08$62.0012.3%3.5%9.7%7.7%12.2%2.5%0.4%35.0M-308.3M-3.1M2.438.886,17915,043182,094312,869
2016-12-22$62.96$62.0012.3%3.5%9.4%7.7%13.1%2.6%0.5%38.7M-293.2M-3.0M3.037.625,35816,220182,748314,092
2016-12-23$62.97$62.0012.4%3.5%9.3%7.8%12.9%2.6%0.5%47.1M-299.3M-2.9M2.876.355,26915,108184,037316,187
2016-12-27$63.14$62.0012.8%3.6%8.9%10.6%12.5%3.3%0.9%38.6M-329.3M-2.8M3.078.245,52616,977179,585312,424
2016-12-28$62.48$62.0013.7%3.8%9.7%16.1%14.5%2.5%0.3%25.7M-168.3M-2.9M3.2912.505,25817,287180,852315,527
2016-12-29$62.47$62.0013.8%3.8%9.6%17.0%13.4%3.4%0.4%18.0M-152.7M-2.9M1.187.8014,77317,464181,364318,730
2016-12-30$62.09$62.0014.6%4.1%9.7%22.1%16.2%3.3%0.3%13.7M-55.9M-2.8M8.294.856,02549,963177,177319,908